Trees and asymptotic developments for fractional stochastic differential equations

N ov 2 00 6 Trees and asymptotic developments for fractional stochastic differential equations

In this paper we consider a n-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst parameter H > 1/3. After solving this equation in a rather elementary way, following the approach of [10], we show how to obtain an expansion for E[f (X t)] in terms of t, where X denotes the solution to the SDE and f : R n → R is a regular function. With respect to [2], ...

Computational Method for Fractional-Order Stochastic Delay Differential Equations

Dynamic systems in many branches of science and industry are often perturbed by various types of environmental noise. Analysis of this class of models are very popular among researchers. In this paper, we present a method for approximating solution of fractional-order stochastic delay differential equations driven by Brownian motion. The fractional derivatives are considered in the Caputo sense...

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

On asymptotic stability of Weber fractional differential systems

In this article, we introduce the fractional differential systems in the sense of the Weber fractional derivatives and study the asymptotic stability of these systems. We present the stability regions and then compare the stability regions of fractional differential systems with the Riemann-Liouville and Weber fractional derivatives.

On asymptotic stability of Prabhakar fractional differential systems

In this article, we survey the asymptotic stability analysis of fractional differential systems with the Prabhakar fractional derivatives. We present the stability regions for these types of fractional differential systems. A brief comparison with the stability aspects of fractional differential systems in the sense of Riemann-Liouville fractional derivatives is also given.